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We then estimate the covariance matrix of the latent states through a Kalman smoother and expectation maximization (KEM) algorithm. Iterating between the two EM steps, we obtain a covariance matrix estimate which is robust to both asynchronicity and microstructure noise, and positive\u2010semidefinite by construction. We show the performance of the KEM estimator using extensive Monte Carlo simulations that mimic the liquidity and market microstructure characteristics of the S&amp;P 500 universe as well as in a high\u2010dimensional application on US stocks. KEM provides very accurate covariance matrix estimates and significantly outperforms alternative approaches recently introduced in the literature. Copyright \u00a9 2014 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2378","type":"journal-article","created":{"date-parts":[[2014,1,20]],"date-time":"2014-01-20T04:32:48Z","timestamp":1390192368000},"page":"377-397","source":"Crossref","is-referenced-by-count":49,"title":["Missing in Asynchronicity: A Kalman\u2010em Approach for Multivariate Realized Covariance Estimation"],"prefix":"10.1002","volume":"30","author":[{"given":"Fulvio","family":"Corsi","sequence":"first","affiliation":[{"name":"Ca' Foscari University of Venice Italy"},{"name":"City University London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stefano","family":"Peluso","sequence":"additional","affiliation":[{"name":"Swiss Finance Institute University of Lugano Switzerland"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Francesco","family":"Audrino","sequence":"additional","affiliation":[{"name":"University of St Gallen Switzerland"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2014,1,19]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2010.tm10163"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_9_5_1","unstructured":"BandiF RussellJ.2005.Realized covariation realized beta and microstructure noise. 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